Parallel algorithms for financial derivatives evaluation in generalized Heston model

MaRDI QIDQ3090714zbMATH OpenFDO

Authors Tiberiu Socaciu, Ilie Parpucea, Bazil Pârv, Maria Pârv

Publication date 31 August 2011

zbMATH Keywords

Black-Scholes equationBlack-Scholes-Merton modelcomputational financial engineeringderivatives evaluationgeneralized Merton-Garman equation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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(7)

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• Sensitivity study of Heston stochastic volatility model using GPGPU
• High Performance Implementation of Binomial Option Pricing
• Efficient implementation of the Heston model using GPGPU
• Parallel option pricing with Fourier space time-stepping method on graphics processing units

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